You can only save games when you're playing them offline, using the Quest software which is free to download at
http://www.axeuk.com/quest/In the software you just need to click the File menu, then Save. This will create a QSG file you can use to pick up the game later from the same point.
There are a few games that use pictures and sounds. Shipwrecked comes to mind for sounds -
http://www.textadventures.co.uk/review.php?game=300 - just note that at the moment you need to use the new beta player for the sounds to work online.